Micro data: a push for transparency? Loriana Pelizzon SAFE-Goethe University Frankfurt and Ca Foscari University of Venice

Transcription

1 Micro data: a push for transparency? Loriana Pelizzon SAFE-Goethe University Frankfurt and Ca Foscari University of Venice

2 Microdata and academic research: US vs EU vs. Why do I use more US data in my research? Bias of the academic journals Peer evaluation in a profession dominated by a US-centric perspective Availability of databases in the public domain: US dominates Openness to academic ideas: EU vs. US Cost of data acquisition for academics

3 Microdata and academic research Bank balance sheet data Asset Portfolio data Transaction data Market High Frequency Data 7/21/2016 3

4 Bank balance sheet data Castiglionesi F., F. Feriozzi, G. Loranth and L. Pelizzon (2014) Liquidity Coinsurance and Bank Capital, Journal of Money Credit and Banking, 46, 2-3, Data: Call Report US Data: Available for free to everybody EU Data: Detailed data not available! What is available: SNL/Bankscope: not so detailed, not so reliable and clean Data collection (project of ECB/SSM) Available to academics? Legal issues for transparency? Why?

5 Portfolio data Getmansky M., G. Girardi, L. Pelizzon N. Stanislava, K. Weiss (2016) Portfolio Similarity and Asset Liquidation in the Insurance Industry, ssrn WP US Data: National Association of Insurance Commissioners (NAIC), distributed by A.M. Best (U.S.-based rating agency for insurances) EU Data: Detailed data not available! Some hope: Data collection: EIOPA started to collect these data Available to academics? Legal issues for transparency

6 Market Transaction data on bonds Pelizzon L. M. Subrahmanyam D. Tomio J. Uno (2016) Sovereign Credit Risk, Liquidity and ECB Intervention: Deux ex Machina?, forthcoming in the Journal of Financial Economics US Data: TRACE (FINRA) and Brokertec Why not in EU? For corporate bonds and Sovereign bonds? Only available public data on transactions: MTS and Tradeweb (?) Issues: Data collection and market fragmentation Legal issues for transparency

7 High frequency data Bellia M. L. Pelizzon, M G. Subrahmanyam, J. Uno and D. Yuferova: Low- Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods, ssrn WP Data: Tokyo Stock Exchange data at the Server ID level: provide information at the millisecond level on trade size, trade direction, quotes and the initiator of the trade

8 High frequency data Bellia M. L. Pelizzon, M G. Subrahmanyam, J. Uno and D. Yuferova: Low- Latency Trading Strategies: International Evidence on Price discovery and Liquidity, work in progress US Data: Nasdaq: For free to academics WRDS, taq (NYSE trades) Why not in EU? EU data: Eurofidai grant, data at the microsecond level for Paris Euronext, Deutsche Boerse, and London Stock Exchange Proposal: EU/ECB should support the project of Eurofidai to provide HFT data to regulators and academics

9 Benefits of transparency (at least to academics) Increase the number of eyes invetigating these datadases Allow independent academic researchers to provide their perspectives Avail of services of free academic consultants! Focus more attention on European issues, institutions and markets Avoid the easy option of taking important regulatory/policy decisions based only on US empirical evidence Improve the quality of finance research in European universities Provide more opportunities for interaction between European policy makers and academics (as in the US and some other countries...)

10 How to improve transparency and preserve privacy? Issue: Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes Proposal: multi-party computation techniques from cryptography in which multiple parties are able to compute joint functions without revealing their individual inputs (see Abbe E., Khandani A. and Lo A. (2011), Privacy- Preserving Methods for Sharing Financial Risk Exposures, ssrn WP) Potential financial applications include: the construction of privacy-preserving real-time indexes of bank capital and leverage ratios; the monitoring of delegated portfolio investments; financial audits; the publication of new indexes of proprietary trading strategies

11 Thank you for your attention!